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A European call option on a certain stock has a strike price of $30, a time to maturity

Options, Futures, and Other Derivatives | 9th Edition | ISBN: 9780133456318 | Authors: John C. Hull ISBN: 9780133456318 458

Solution for problem 20.13 Chapter 20

Options, Futures, and Other Derivatives | 9th Edition

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Options, Futures, and Other Derivatives | 9th Edition | ISBN: 9780133456318 | Authors: John C. Hull

Options, Futures, and Other Derivatives | 9th Edition

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Problem 20.13

A European call option on a certain stock has a strike price of $30, a time to maturity of 1 year, and an implied volatility of 30%. A European put option on the same stock has a strike price of $30, a time to maturity of 1 year, and an implied volatility of 33%. What is the arbitrage opportunity open to a trader? Does the arbitrage work only when the lognormal assumption underlying BlackScholesMerton holds? Explain carefully the reasons for your answer.

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Business Foundations Chapter 7 Notes Organization and Communication How effectively you communicate Organized Structure -­‐arrangement or relationship of positions within an organization’s part of the “organizing” function of management. -­‐impacts decision making,...

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Chapter 20, Problem 20.13 is Solved
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Textbook: Options, Futures, and Other Derivatives
Edition: 9
Author: John C. Hull
ISBN: 9780133456318

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A European call option on a certain stock has a strike price of $30, a time to maturity

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